New Issue: BNP Paribas prices $3.1 million contingent buffered market plus notes linked to S&P 500

By Toni Weeks

San Luis Obispo, Calif., May 2 - BNP Paribas priced $3.1 million of 0% contingent buffered market plus notes due Oct. 16, 2014 linked to the S&P 500 index, according to a term sheet.

A knock-out event occurs if the index drops below 75% of the initial level on any day during the life of the notes.

If a knock-out event has not occurred, the payout at maturity will be par plus the index return, subject to a floor of par. Otherwise, investors will be fully exposed to losses.

BNP Paribas Securities Corp. is the underwriter with J.P. Morgan Securities LLC as placement agent.

Issuer:	BNP Paribas
Issue:	Contingent buffered market plus notes
Underlying index:	S&P 500
Amount:	$3,095,000
Maturity:	Oct. 16, 2014
Coupon:	0%
Price:	Par
Payout at maturity:	If index never falls below 75% knock-out level during life of notes, par plus index return, floor of par; otherwise, full exposure to losses
Initial index level:	1,588.85
Knock-out level:	1,191.6375, 75% of initial level
Pricing date:	April 12
Settlement date:	April 17
Underwriter:	BNP Paribas Securities with J.P. Morgan Securities LLC as agent
Fees:	1.25%
Cusip:	05574LHS0

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